For a no frills and simple solution to this problem...
Take one old pre-paid mobile phone (with some credit on), enter the number you wish to call to raise an alarm and assign it to a specific digit key for "speed-dial" mode , then just connect a pair of wires from the keypad to the sensor switch / relay. As long as the recipient does not answer the call the credit is never used.
One of the uk electronics magazines did an article last year on GSM modules with a remote control project, EPE or Elektor i think.
Portable burglar alarms may seem a bit strange to some, however they are an incredibly common item in the military, thousands of them were dropped along the Laos / Vietnam border for instance.